Financial Modelling with Jump Processes

Financial models based on jump processes are fast gaining popularity in risk management and option pricing applications. Much has been published on the subject, but most of the papers are difficult for nonspecialists to understand. This book provides an accessible overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling. With clear explanations, the authors motivate the use of the various mathematical tools, and while giving an intuitive understanding of proofs, provide precise mathematical statements of the results. They illustrate concepts with many numerical and empirical examples and provide the details for implementing pricing and calibration algorithms.